I just ran into the same problem as you, with a Raspberry Pi downloading torrents to an external USB thumbdrive (formatted with FAT). The problem of the "missing file" is because of strange characters in the filename (like é or ñ or other non-English characters).
The solution for me was to mount the USB drive correctly, something like:
mount -o codepage=850,iocharset=iso8859-1,utf8 /dev/sdb1 /mnt
You can read more about this at: http://www.nslu2-linux.org/wiki/HowT...FATFileSystems
If you're using an NTFS or other non-native filesystem, the codepage will also be an issue, so the solution should be very similar to what I have posted here.
I'm aware that my post is like 3 years late, but I just ran into this problem, and this was one of the first results, so I'll post the solution I found here for any other person who may run into the same problem.